In any scientific experiment it is crucial to change only one variable at a time. If you are walking around there may be objects around you that are changing the tone of the sound in ways you are not aware of. If you sit in one place and change one variable it will be much easier to identify, and most importantly LEARN the differences in the sound. In other words, if you hold up a flat object like a book or plate in front of your face, only one thing has changed about your environment. If you change your location and walk up to a wall then many things have changed about your environment and it will be more difficult for you to distinguish between the different sounds and it might take you longer to see the effects of this lesson.
Remember, take it slow. Keep it simple. Have fun, and enjoy the journey!